Updating the issue: with Proton experimental game just exits without the pop-up for error.
Dialog window from earlier:

Logs with experimental:
steam-703730.log
Backtrace:
=>0 0x61b8e8d1 DllGetClassObject+0x1301() in amstream (0x010ff038)
1 0x0040bb64 in sjsez (+0xbb64) (0x03ef05a8)
This is now working with Proton 8.0-3.
The place where it had error before now proceeds normally without errors.
proton 8.0-3x1 2023-07proton experimentalx1 2022-08
Compatibility Report
System Information
I confirm:
Symptoms
Game will try to load wmv video, but Proton has not support and game gives error dialog. Issue tracked in: #1464
Reproduction
steam-703730.log